宏观审慎监管视角下商业银行风险预警指标体系研究

发布时间：2018-12-11 17:15

【摘要】：众所周知,金融市场具有脆弱性和高度传染性的特点。维护整个金融体系的稳定对于金融发展和经济发展都具有至关重要的作用。2008年爆发的金融危机对经济的危害让大家意识到金融监管的重要性和目前金融监管体系的缺陷。商业银行作为金融体系中的重要组成部分,它的稳定与否,直接影响到经济的方方面面。在强化对商业银行监管的背景下,探讨银行预警指标体系的研究就显得更有意义。本文将从宏观审慎监管的视角探讨银行业预警指标体系的构建,旨在从新的视角为我国商业银行风险预警指标体系的研究提供相应的方法依据和对应的风险防范决策提供支持。首先,文章从宏观、中观、微观三个层次介绍了商业银行体系面临的风险,着重分析了商业银行面临的两类风险——空间维度的网络风险和时间维度的总体风险,并对国内外商业银行预警理论、指标体系等予以阐述。其次,提出了我国商业银行预警指标体系应包括三个部分：微观审慎指标、市场审慎指标和宏观审慎指标,并确定了每一子系统中的指标构成。运用层次分析法详细地分析计算了各单个指标所占的权重大小,多指标综合评价并实证分析了近年来我国商业银行体系的风险水平,得出的结论基本符合我国商业银行体系的实际情况。最后,在此基础上,对未来我国商业银行风险水平进行了预测。总体上看,从宏观审慎的视角构建我国商业预警指标体系有利于更好的把握商业银行风险的综合水平。
[Abstract]:As we all know, financial markets are characterized by fragility and high infectivity. Maintaining the stability of the entire financial system plays a vital role in both financial development and economic development. The financial crisis broke out in 2008 has made people realize the importance of financial supervision and the defects of the current financial regulatory system. As an important part of the financial system, the stability of commercial banks has a direct impact on all aspects of the economy. Under the background of strengthening the supervision of commercial banks, it is more meaningful to study the early warning index system of banks. This paper discusses the construction of banking early-warning index system from the perspective of macro-prudential supervision in order to provide the corresponding method basis and corresponding risk prevention decision support for the study of risk early-warning index system of commercial banks in China from a new perspective. First of all, the paper introduces the risks faced by the commercial bank system from the macro, meso and micro levels, and analyzes the two kinds of risks faced by the commercial banks, namely, the network risk in the spatial dimension and the overall risk in the time dimension. And the domestic and foreign commercial bank early warning theory, the index system and so on carries on the elaboration. Secondly, the paper puts forward that the early warning index system of China's commercial banks should include three parts: microprudential index, market prudential index and macro-prudential index, and determines the composition of indicators in each subsystem. The weight of each single index is analyzed and calculated in detail by using AHP, and the risk level of commercial bank system in China in recent years is analyzed empirically by comprehensive evaluation of multiple indexes. The conclusion is basically in line with the actual situation of China's commercial banking system. Finally, on this basis, the risk level of China's commercial banks in the future is predicted. On the whole, it is advantageous to grasp the comprehensive level of commercial bank risk better by constructing the index system of commercial early warning from the perspective of macroprudential.
【学位授予单位】：福建师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1

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